Econometrics Lecture 9: Cointegration in VAR Models
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چکیده
منابع مشابه
Unit Roots, Cointegration and Pre-Testing in VAR Models∗
This chapter investigates the robustness of impulse response estimators to near unit roots and near cointegration in VAR models. We compare estimators based on VAR specifications determined by pre-tests for unit roots and cointegration as well as unrestricted VAR specifications in levels. Our main finding is that the impulse response estimators obtained from the levels specification tend to be ...
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